Questions tagged [dynamic-regression]
Dynamic regression is a type of regression, where one of the independent variables is a lagged dependent variable.
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Textbook approach to modeling non-proportional hazards in the Cox model
In Cox models with time varying coefficients, the effect of covariates on the hazard is allowed to change through time. In cases where a coefficient has a linear relationship with time, I am aware of ...
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What's wrong if I fit the auto-regression with OLS?
I am doing auto-regress by usual linear regression package.
e.g.
$y_t=φx+ε_t$ with $x =y_{t-1}$
My reason is that,
Auto-regression does assumes iid errors, same for linear regression.
Linear ...
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How to identify transfer functions in a time series regression forecasting model?
I am trying to build a time series regression forecasting model for an outcome variable, in dollar amount, in terms of other predictors/input variables and autocorrelated errors. This kind of model ...
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Transfer Function Clarification
I'm seeking a little clarification on the specific application of transfer functions for time series.
I've followed the Box-Jenkins approach for selecting potential exogenous predictors... using R's ...
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Intervention With Differencing
When conducting an intervention analysis with time series data (aka Interrupted Time series) as discussed here for example one requirement I have is to estimate the total gain (or loss) due to the ...
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What is the difference between VAR, Dynamic Regressive, and ARMAX models?
All of these models seem to be used in predicting an endogenous time series variable, using several lagged exogenous time series variables. If it is so, how do we decide when to use which?
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Time series dynamic poisson regression
I have a time series count data by customers that I would like to regress on past months items (count) sold and promotional effects (current and past). Below is an example, and the dataset has one ...
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Test for the significance of the effect of an intervention in a time series
I am looking for the best approach to test for the significance of the effect of an intervention that occurred at a known time on a time series data.
Using a toy dataset as an example, I have come up ...
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ARIMAX Forecasting in SPSS vs. R
I'm using time series data containing both trend and seasonality. I also have 2 endogenous predictor variables that I would like to include in my model.
In R I've used the forecast package to develop ...
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Dynamic Panel/GMM in R with group:time fixed effects? [closed]
Is there a solution coded in R to estimate models of the form
$$
y_{igt} = \alpha_i + P_{gt} + \beta_1y_{igt-1}+ \beta_2y_{igt-2} + X_{igt}'\gamma + \epsilon_{igt}
$$
?
...
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Model comparison between an ARIMA model and a regression model
I'm really having trouble finding out how to compare ARIMA and regression models. I understand how to evaluate ARIMA models against each other, and different types of regression models (ie: ...
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How do I ensure PROC ARIMA is performing the correct parameterization of input variables?
I'm trying to forecast using ARIMAX with two exogenous (input) variables. I'm using PROC ARIMA, but I can't figure out from the SAS documentation whether my code is producing the parameterization I ...
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State space form of time varying AR(1)
I would like to implement the model proposed in Dynamic modeling of mean-reverting spreads (Kostas Triantafyllopoulos, Giovanni Montana).
They propose to model a time serie Y_t with the following ...
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Interpretation of dccalpha and dccbeta in DCC-GARCH model
I've used DCC-ARMA(1,0) -GARCH(1,1) to model green bond co-movement with some other marekts. In the output, I get the parameters "dccalpha" and "dccbeta". However, I do not know ...
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Dynamic regression and prewhitening
I'm working on a time series forecasting problem where sales needs to be predicted using weather variables. The weather variables are auto correlated and hence pre-whitening is needed to find the true ...
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Removing the intercept term in a dynamic regression justified?
I'm trying to build a cross-sectional prediction model (dynamic panel) with the following form: (including a LDV)
$Y_{i,t+1}=a+bY_{i,t}+cX_{i,t}+e_{i,t+1}$
As the sample contains for example ...
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How to repoduce the fitted values from a forecast::Arima in R by hand?
We have fit an ARIMA (1,0,0) with exogenous reggressors using the forecast package in R and would like to write about this model. However when we write out the ...
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Equivalent of auto_arima function of R in Stata
I am building a dynamic regression model in Stata which basically has this form:
$$Y = a_1x_1 + a_2x_2 +... + e$$
where the error $e$ is then modeled as ARIMA process.
Is there a command to find ...
